An Intrinsic Metric for Power Spectral Density Functions
Copyright policy )An Intrinsic Metric for Power Spectral Density Functions
We present an intrinsic metric that quantifies distances between power spectral density functions. The metric was derived by the author in a recent arXiv-report (math.OC/0607026) as the geodesic distance between spectral density functions with respect to a particular pseudo-Riemannian metric motivated by a quadratic prediction problem. We provide an independent verification of the metric inequality and discuss certain key properties of the induced topology.
7 pages
- University of Minnesota United States
- University of Minesota United States
- University of Minnesota System United States
- University of Minnesota Morris United States
- University of Minnesota United States
60G35; 58B20; 62B10; 94A17, 62B10, Optimization and Control (math.OC), Probability (math.PR), 58B20, FOS: Mathematics, 60G35, 94A17, Mathematics - Optimization and Control, Mathematics - Probability
60G35; 58B20; 62B10; 94A17, 62B10, Optimization and Control (math.OC), Probability (math.PR), 58B20, FOS: Mathematics, 60G35, 94A17, Mathematics - Optimization and Control, Mathematics - Probability
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